Mark Which of the following statements is true about diversification? O a. If the covariance between two securities is negative, then the portfolio's standard deviation can be reduced to zero O b. By diversifying, portfolio risk can be reduced to zero O c. The variance is the weighted average of the individual securities' variances Od. The benefit from diversification is maximized if the correlation coefficients is zero Oe. There is no benefit from diversification if the correlation coefficient is 1